期货回测配置

createBacktester 和setSecurityReference 接口的 securityReference 参数所使用的基本信息表，其字段说明如下。

securityReference 支持以下两种模式：

• 静态模式：表中不包含 tradeDate 列。回测期间始终使用已设置的基本信息。

• 按交易日模式：表中包含 tradeDate 列。每个交易日盘前，引擎按以下规则读取每个期货合约的基本信息：

  • 若存在 tradeDate 等于当前交易日的记录，使用该记录。

  • 否则，使用 tradeDate 小于或等于当前交易日的最新一条记录。

静态模式和按交易日模式不能混用。创建引擎时传入的 securityReference 是否包含 tradeDate，必须与后续通过 Backtest::setSecurityReference 传入的基本信息表保持一致。

在按交易日模式下，可通过不同 tradeDate 的记录更新 marginRatio、commission 等基本信息。对于同一合约，multiplier 和 tradeUnit 始终使用首次加载的值；后续记录中的修改不会生效，系统也不会报错。

colName=["symbol","symbolSource","timestamp","tradingDay","lastPrice","upLimitPrice",
        "downLimitPrice","totalBidQty","totalOfferQty","bidPrice","bidQty","offerPrice",
        "offerQty","highPrice","lowPrice","prevClosePrice","settlementPrice",
        "prevSettlementPrice"]
colType= ["STRING","STRING","TIMESTAMP","DATE","DOUBLE","DOUBLE","DOUBLE","LONG","LONG",
        "DOUBLE[]","LONG[]","DOUBLE[]","LONG[]","DOUBLE","DOUBLE","DOUBLE",
        "DOUBLE","DOUBLE"]
messageTable=table(10000000:0, colName, colType)

快照合成 Bar 行情的表结构（frequency > 0，callbackForSnapshot = 1 或者 2）：

colName=["symbol","symbolSource","timestamp","tradingDay","lastPrice","upLimitPrice",
        "downLimitPrice","totalBidQty","totalOfferQty","bidPrice","bidQty","offerPrice",
        "offerQty","highPrice","lowPrice","signal","prevClosePrice","settlementPrice",
        "prevSettlementPrice","open", "close","low","high","volume"]
colType= ["STRING","STRING","TIMESTAMP","DATE","DOUBLE","DOUBLE","DOUBLE","LONG","LONG",
        "DOUBLE[]","LONG[]","DOUBLE[]","LONG[]","DOUBLE","DOUBLE","DOUBLE","DOUBLE",
        "DOUBLE","DOUBLE","DOUBLE","DOUBLE",
        "DOUBLE","DOUBLE","LONG"]
messageTable=table(10000000:0, colName, colType)

快照行情数据表（用于合成 Bar 行情）的必需字段如下所示：

回测行情回放结束时，发送一条 symbol 为 “END” 的消息：

messageTable=select top 1 * from messageTable
update messageTable set symbol="END" 
Backtest::appendQuotationMsg(engine,messageTable)

快照行情回调函数 onSnapshot 的输入参数为 msg。

当 msg 为字典时，它是一个以 symbol 为 key 、以对应快照行情数据（snapShot）为 value 的字典。每个快照行情数据对象包含字段如下：

K 线行情回调函数 onBar 的输入参数为 msg。

当 msg 为字典时，它是一个以 symbol 为 key 、以对应分钟频率的 K 线数据为 value 的字典。每个 K 线包含字段如下：

colName=["symbol","symbolSource","tradeTime","tradingDay","open","low","high","close",
"volume","amount","upLimitPrice","downLimitPrice","prevClosePrice",
"settlementPrice","prevSettlementPrice"]
colType=["SYMBOL","SYMBOL","TIMESTAMP","DATE","DOUBLE","DOUBLE","DOUBLE","DOUBLE","LONG","DOUBLE",
"DOUBLE","DOUBLE","DOUBLE","DOUBLE","DOUBLE"]
messageTable=table(10000000:0, colName, colType)

回测行情回放结束时，发送一条 symbol 为 “END” 的消息：

messageTable=select top 1 * from messageTable
update messageTable set symbol="END" 
Backtest::appendQuotationMsg(engine,messageTable)

K 线行情回调函数 onBar的输入参数为 msg。

当 msg 是字典时，它是一个以 symbol 为 key 、以对应分钟频率的 K 线数据为 value 的字典。每个 K 线包含字段如下：

通过接口 appendQuotationMsg 向引擎中插入数据时，msg 为一个字典，其 key 支持 'ohlc'，'snapshot' 或 'indicator' 三个 key：

• 'ohlc' 为分钟频行情表，结构如下：

  colName=["symbol","symbolSource","tradeTime","tradingDay","open","low","high","close",
  "volume","amount","upLimitPrice","downLimitPrice","prevClosePrice",
  "settlementPrice","prevSettlementPrice"]
  colType=["SYMBOL","SYMBOL","TIMESTAMP","DATE","DOUBLE","DOUBLE","DOUBLE","DOUBLE","LONG","DOUBLE",
  "DOUBLE","DOUBLE","DOUBLE","DOUBLE","DOUBLE"]
  messageTable=table(10000000:0, colName, colType)

  注：

  字段名须与下表中的定义严格一致。除首列必须为 symbol 其他字段的顺序不作要求。此外，行情数据表可以包含以下扩展字段： INT，DOUBLE，STRING 类型的字段，以及名为 signal 的 DOUBLE[] 类型的字段。

  分钟频行情数据表必需字段如下所示：

  字段	类型	备注
  symbol	SYMBOL	期货代码
  symbolSource	STRING	交易所
  tradeTime	TIMESTAMP	时间戳
  tradingDay	DATE	交易日/结算日期
  open	DOUBLE	开盘价
  low	DOUBLE	最低价
  high	DOUBLE	最高价
  close	DOUBLE	收盘价
  volume	LONG	成交量
  upLimitPrice	DOUBLE	涨停价
  downLimitPrice	DOUBLE	跌停价

• 'snapshot' 为快照行情表，结构如下：

  colName=["symbol","symbolSource","timestamp","tradingDay","lastPrice","upLimitPrice",
          "downLimitPrice","totalBidQty","totalOfferQty","bidPrice","bidQty","offerPrice",
          "offerQty","highPrice","lowPrice","prevClosePrice","settlementPrice",
          "prevSettlementPrice"]
  colType= ["STRING","STRING","TIMESTAMP","DATE","DOUBLE","DOUBLE","DOUBLE","LONG","LONG",
          "DOUBLE[]","LONG[]","DOUBLE[]","LONG[]","DOUBLE","DOUBLE","DOUBLE",
          "DOUBLE","DOUBLE"]
  messageTable=table(10000000:0, colName, colType)

  注：

  • 上述为快照行情（callbackForSnapshot = 0）时的输入表结构，不适用于由快照行情合成 Bar 的场景。

  • 字段名须严格与下表中的定义严格一致。除首列必须为 symbol 外，其它字段的顺序不作要求。此外，输入表还可以包含 INT，DOUBLE，STRING 类型的扩展字段，或包含名为 signal 的 DOUBLE[] 类型的字段。

  快照行情数据表必需字段如下所示：

  字段	类型	备注
  symbol	SYMBOL	期货代码
  symbolSource	STRING	交易所
  timestamp	TIMESTAMP	时间戳
  tradingDay	DATE	交易日/结算日期
  lastPrice	DOUBLE	最新成交价
  upLimitPrice	DOUBLE	涨停价
  downLimitPrice	DOUBLE	跌停价
  totalBidQty	LONG	区间成交买数量
  totalOfferQty	LONG	区间成交卖数量
  bidPrice	DOUBLE[]	委托买价
  bidQty	LONG[]	委托买量
  offerPrice	DOUBLE[]	委托卖价
  offerQty	LONG[]	委托卖价
  highPrice	DOUBLE	最高价
  lowPrice	DOUBLE	最低价

• 'indicator' 为供 onBar 回调使用的历史指标数据表。设置该表后，不能同时通过 subscribeIndicator 订阅 ohlc 或 kline 类型的指标。该表必须包含 symbol 和 timestamp 两个字段，其余字段可作为扩展字段，类型必须为 INT、DOUBLE 或 STRING。